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Course Outline
Session 1 – Structured Products
- What is a structured product?
- Types of structured product
- Asset back securities
- Collateralised debt obligations
- Collateralised mortgage obligations
- The role of the special purpose vehicle
- How to price structured products
- What are the key risks?
- Accounting for structured products
- How to price a structured product
Session 2: Interest Rate Structures
- Embedded options & swaps
- Reverse floaters
- Leveraged swap linked notes
- Bonds linked to rates other than libor
- Extendible and cancellable swaps
- Embedded swaptions
Session 3 – Options Contracts
- Introduction to options
- Options terminology
- Traded vs OTC
- Option premium
- Confirmation and settlement
- Volatility
- Pricing an option –
- Binomial model
- Black Scholes
- Other approaches
- The importance of the yield curve
Session 4 – Swaps contracts
- Introduction to swaps
- Swap definitions
- Quality spread differential
- Interest rate swaps
- Currency swaps
- Pricing interest rate swaps
- Swap valuations
- Model risk and the importance of pricing feeds
- Confirmation and settlement
- Counterparty credit risk
- Collateral and collateral management
Session 5 – Introduction to Derivatives
- What is a derivative?
- Why are people worried about derivatives?
- Key concepts
- Arbitrage and the original purpose of derivatives – the mutual coincidence of wants
- Benefits and uses of derivatives
- Hedging and trading
Session 6 – Foreign Exchange
- Banking book v trading book
- Market conventions
- Language of foreign exchange
- The process of trading foreign exchange
- Electronic and telephone trading
- Dealing room controls
- Currency terms
Session 7 – Forward Transactions
- Introduction to forward contracts
- Purpose of forward contracts
- Pricing a forward contract and the importance of Libor
- Documenting a forward contract
- Introduction to the ISDA
- Confirming and settling forward contacts
Session 8 – Futures Contracts
- Introduction to futures contracts
- The role of the futures exchange
- The nature of futures contracts
- The role in trading
- Pricing a futures contract
- Hedging with futures
- The importance of margin accounting
- Confirmation and settlement
Session 9: Equity Swaps
- Fund management objectives
- Using a swap with an equity price index
- Example of cash flows of an equity swap
- Total return swaps and other credit derivatives
Session 10 – What goes wrong in practice
- Scenario modelling and derivatives
- Bankers Trust
- Barings
- Allfirst
- LTCM
- Enron
Session 11 – Introduction to Advanced Topics
- The management of interest rate risk
- Introduction to collateralised instruments
- Counterparty credit risk and derivatives
- Legal risk and derivatives
- Value at risk and Exposure at default
- Loss given default and probability of default
- Stress testing and liquidity risk
- Scenario modelling
- The impact of international accounting standards, IAS 39 and IFRS 7
- Asset recognition and derecognition
21 Hours
Testimonials (5)
i like that it was easy to understand - not too technical
Kirthanya Pillay - Woolworths Financial Services
Course - FinOps Certified Practitioner (FOCP) Preparation
he was informative, shared a lot of material to reference
Siphokazi Mnyebeleza
Course - FinOps For Engineers
Personal service and orientated to my needs
ANN - New Vitality Clinic
Course - GnuCash for Business Accounting
The lecturer is very knowledgeable and can substantiate theories with his own personal experiences.
Harry Estipona
Course - Financial Markets
I was benefit from the interesting and clear ideas and suggestions.